Hmm, are you talking about the brown dry nut (without the flesh), or the green outer coconut as it looks right off the tree.
I think the brown cleaned out shell should be fine in my opinion - I would be concerned about the threads that are on it as I can see them eating and choking on it if they are long.
The only reason I would think it is OK to give to the rabbits to play with is because I have never heard of - or found online - anything that suggests there are any toxins in the seeds of coconuts (which is the hard brown part). It is not on the toxicity list of plants for animals or humans.
Maybe go with something that we know is safe such as apple twigs or willow. But I personally would probably still let my buns play with it - this is MY opinion though.
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Nadia